Stock returns’ sensitivities to crisis shocks: Evidence from developed and emerging markets

Calomiris, Charles W.; Love, Inessa; Pería, María Soledad Martínez

doi:10.1016/j.jimonfin.2012.01.002

Cited by 60 publications

(37 citation statements)

References 50 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Trade linkages emerged as the vital transmission mechanism for subprime crisis (Achraf et al 2013). Similar finding was observed in the study by Calomiris, Love and Martínez Pería (2012) and Donadelli (2014). These studies suggested that the emerging markets' stock returns are more responsive to shocks related to changes in global trade conditions and global economic environment during the crisis period; such as U.S. industrial production uncertainty shocks and U.S. stock market volatility shocks.…”

Section: Literature Reviewsupporting

confidence: 85%

Do Indian Economic Activities Impact ASEAN-5 Stock Markets?

Teng¹,

Yean²,

Soo³

2015

JEM

View full text Add to dashboard Cite

show abstract

Section: Literature Reviewsupporting

confidence: 85%

Do Indian Economic Activities Impact ASEAN-5 Stock Markets?

Teng¹,

Yean²,

Soo³

2015

JEM

View full text Add to dashboard Cite

show abstract

“…As this research concentrates on the African equity markets, we focus on a brief review of previous studies related mostly to the emerging economies including the selected African countries. Calomiris et al [2012] considered three 'crisis shocks' related to the key features of the GFC for the emerging and developed economies: the collapse of global trade, the contraction of credit supply, and selling pressure on firm's equity. They investigated two African equity markets in Egypt and South Africa among others emerging economies.…”

Section: Short Overview Of the African Equity Markets Included In Thementioning

confidence: 99%

Crisis Periods, Contagion and Integration Effects in the Major African Equity Markets During the 2007-2009 Global Financial Crisis

Labuschagne¹,

Majewska²,

Olbryś³

2016

Optimum

View full text Add to dashboard Cite

SummaryA number of studies assert that during critical events cross-market correlations change substantially. The main focus of this paper is to explicitly test two research hypotheses concerning the effect of increasing cross-market correlations in the 2007-2009 Global Financial Crisis (GFC) compared to the pre-crisis period. These hypotheses state that there was no contagion and no integration effects among the U.S., the U.K., and selected African stock markets (South Africa, Namibia, Egypt, Nigeria, Morocco and Kenya) during the GFC. The crisis periods are formally detected using a statistical method of dividing market states into bullish and bearish markets. The sample period begins in January 2003 and ends in December 2013, and it includes the 2007 U.S. subprime crisis. Obtained results indicate that there is no reason to reject both research hypotheses. Moreover, the results confirm a heterogeneity of the African equity markets in the context of the influence of the recent global crisis.

show abstract

“…We apply a spatial econometrics framework, traditionally used in geography and urban studies, to assess the role of bank integration in capturing the linkages across housing markets. The reason for this is that through spatial models we can directly capture the factors 1 Recently Tong and Wei (2011), Beltratti and Stulz (2012), Calomiris et al (2012), Bekaert et al (2014), etc. assess the linkages on the financial markets.…”

Section: Introductionmentioning

confidence: 99%

Bank integration and co-movements across housing markets

Milcheva

Zhu²

2016

Journal of Banking & Finance

View full text Add to dashboard Cite

This paper investigates whether bank integration measured by cross-border bank flows can capture the co-movements across housing markets in developed countries by using a spatial dynamic panel model. The transmission can occur through a global banking channel in which global banks intermediate wholesale funding to local banks. Changes in financial conditions are passed across borders through the banks' balance-sheet exposure to credit, currency, maturity, and funding risks resulting in house price spillovers. While controlling for country-level and global factors, we find significant co-movement across housing markets of countries with proportionally high bank integration. Bank integration can better capture house price comovements than other measures of economic integration. Once we account for bank exposure, other spatial linkages traditionally used to account for return co-movements across region -such as trade, foreign direct investment, portfolio investment, geographic proximity, etc. -become insignificant. Moreover, we find that the co-movement across housing markets decreases for countries with less developed mortgage markets characterized by fixed mortgage rate contracts, low limits of loan-to-value ratios and no mortgage equity withdrawal. JEL Classifications: C23, G15, F36, R3 Abstract This paper investigates whether bank integration measured by cross-border bank flows can capture the co-movements across housing markets in developed countries by using a spatial dynamic panel model. The transmission can occur through a global banking channel in which global banks intermediate wholesale funding to local banks. Changes in financial conditions are passed across borders through the banks' balance-sheet exposure to credit, currency, maturity, and funding risks resulting in house price spillovers. While controlling for country-level and global factors, we find significant co-movement across housing markets of countries with proportionally high bank integration. Bank integration can better capture house price comovements than other measures of economic integration. Once we account for bank exposure, other spatial linkages traditionally used to account for return co-movements across region -such as trade, foreign direct investment, portfolio investment, geographic proximity, etc. -become insignificant. Moreover, we find that the co-movement across housing markets decreases for countries with less developed mortgage markets characterized by fixed mortgage rate contracts, low limits of loan-to-value ratios and no mortgage equity withdrawal. JEL Classifications: C23, G15, F36, R3

show abstract

Stock returns’ sensitivities to crisis shocks: Evidence from developed and emerging markets

Cited by 60 publications

References 50 publications

Do Indian Economic Activities Impact ASEAN-5 Stock Markets?

Do Indian Economic Activities Impact ASEAN-5 Stock Markets?

Crisis Periods, Contagion and Integration Effects in the Major African Equity Markets During the 2007-2009 Global Financial Crisis

Bank integration and co-movements across housing markets

Contact Info

Product

Resources

About